ON THE IMPACT OF HIDDEN TRENDS FOR A COMPOUND POISSON MODEL WITH PARETO-TYPE CLAIMS

DOI10.1142/S0219024910006066zbMath1233.91146MaRDI QIDQ2786347

Peter Grandits, Reinhold Kainhofer, Grigory Temnov

Publication date: 21 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

consistency; trends; Pareto distribution; ML estimation; mis-specified models

Mathematics Subject Classification ID

62G32: Statistics of extreme values; tail inference

62M05: Markov processes: estimation; hidden Markov models

60F15: Strong limit theorems

62E10: Characterization and structure theory of statistical distributions